Empirical likelihood confidence intervals for the endpoint of a distribution function
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References listed on IDEAS
- Zhou, Chen, 2009. "Existence and consistency of the maximum likelihood estimator for the extreme value index," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 794-815, April.
- Einmahl, J.H.J. & Segers, J.J.J., 2008.
"Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution,"
2008-42, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Segers, J.J.J., 2009. "Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution," Other publications TiSEM ffef2e15-c4a8-471f-b730-1, Tilburg University, School of Economics and Management.
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- M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
- Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2012. "Estimating an endpoint with high order moments in the Weibull domain of attraction," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2136-2144.
- Sun, Haoze & Jiang, Yuexiang, 2014. "Empirical likelihood based confidence intervals for the tail index when γ<−1/2," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 149-157.
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KeywordsConfidence interval; Coverage probability; Empirical likelihood method; Endpoint; 62G32; 62G15;
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